MycLib/Src/Myc.Trade.DataPoint.pas

unit Myc.Trade.DataPoint;

interface

uses
    System.SysUtils;

type
    // A data record for an Ask/Bid price pair.
    TAskBidItem = packed record
        Ask: Single;
        Bid: Single;
        constructor Create(AAsk, ABid: Single);
    end;

    // Represents a time-stamped data point in a series.
    TDataPoint<T> = record
        Time: TDateTime;
        Data: T;
        constructor Create(ATime: TDateTime; const AData: T);
    end;

    // A time-ordered series of data points, optimized for chronological additions.
    // The most recently added element has the logical index 0.
    TDataSeries<T> = record
    private
        const
            ChunkSize = 1024;
        type
            TChunk = TArray<TDataPoint<T>>;
    private
        FChunks: TArray<TChunk>;
        FCount: Int64;
        FMaxLookback: Int64;
        FTotalCount: Int64;

        // Converts a logical index (0=newest) to a physical storage index (0=oldest).
        function LogicalToPhysicalIndex(LogicalIndex: Int64): Int64; inline;
        function GetCount: Int64;
        function GetData(Idx: Int64): T;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetTime(Idx: Int64): TDateTime;
        procedure SetData(Idx: Int64; const Value: T);
        // Checks if a logical index is within the defined limits.
        function IsIndexInLimits(LogicalIndex: Int64): Boolean;
        // Removes old chunks that are outside the Lookback limits.
        procedure Trim;
    public
        constructor Create(AMaxLookback: Int64);
        // Adds a new data point to the series.
        procedure Add(const Data: TDataPoint<T>); overload;
        procedure Add(const Data: array of TDataPoint<T>; NumToAdd: Integer = -1); overload;
        // Clears all data from the series.
        procedure Clear;
        // Searches for a data point by its timestamp.
        // Returns the logical index of the matching item.
        // If no exact match, returns the index of the item immediately preceding the timestamp.
        // Returns -1 if the timestamp is before the oldest item in the series.
        function IndexOf(TimeStamp: TDateTime): Int64;

        class operator Initialize(out Dest: TDataSeries<T>);
        class operator Finalize(var Dest: TDataSeries<T>);

        property Count: Int64 read GetCount;
        // Accesses data points by their logical index.
        // Index 0 is the newest element, Index (Count - 1) is the oldest.
        property Items[Idx: Int64]: TDataPoint<T> read GetItems; default;
        property Time[Idx: Int64]: TDateTime read GetTime;
        property Data[Idx: Int64]: T read GetData write SetData;

        // The maximum number of data points to keep (0 = unlimited).
        property MaxLookback: Int64 read FMaxLookback;
        // The total number of items ever added to the series (resets on Clear).
        property TotalCount: Int64 read FTotalCount;
    end;

implementation

{ TAskBidItem }

constructor TAskBidItem.Create(AAsk, ABid: Single);
begin
    Ask := AAsk;
    Bid := ABid;
end;

{ TDataPoint<T> }

constructor TDataPoint<T>.Create(ATime: TDateTime; const AData: T);
begin
    Time := ATime;
    Data := AData;
end;

constructor TDataSeries<T>.Create(AMaxLookback: Int64);
begin
    FMaxLookback := AMaxLookback;
    FCount := 0;
    FTotalCount := 0;
    FChunks := nil;
end;

{ TDataSeries<T> }

procedure TDataSeries<T>.Add(const Data: TDataPoint<T>);
begin
    // Enforce chronological order for new items.
    Assert((FCount = 0) or (Data.Time >= GetTime(0)), 'Time stamp older than last item');

    var ci := FCount div ChunkSize;
    var di := FCount mod ChunkSize;

    if (di = 0) then
    begin
        SetLength(FChunks, ci + 1);
        SetLength(FChunks[ci], ChunkSize);
    end;

    FChunks[ci][di] := Data;
    Inc(FCount);
    Inc(FTotalCount);

    // Remove old data that is now out of limits.
    Trim;
end;

procedure TDataSeries<T>.Add(const Data: array of TDataPoint<T>; NumToAdd: Integer = -1);
var
    sourceIdx, itemsToCopy, spaceInChunk: Integer;
    ci, di: Int64;
    i: Integer;
    resolvedNumToAdd: Integer;
begin
    if NumToAdd < 0 then
        resolvedNumToAdd := Length(Data)
    else
        resolvedNumToAdd := NumToAdd;

    if resolvedNumToAdd = 0 then
        Exit;

    Assert(resolvedNumToAdd <= Length(Data), 'NumToAdd cannot be larger than the source array');

    // Check chronological order of the input array itself
    for i := 1 to resolvedNumToAdd - 1 do
        Assert(Data[i].Time >= Data[i - 1].Time, 'Input array for Add is not chronologically sorted');

    // Enforce chronological order for new items against existing series.
    Assert((FCount = 0) or (Data[0].Time >= GetTime(0)), 'First new item is older than last existing item');

    // Increment total count immediately.
    Inc(FTotalCount, resolvedNumToAdd);

    var newTotalCount := FCount + resolvedNumToAdd;
    var requiredChunks := (newTotalCount + ChunkSize - 1) div ChunkSize;
    if requiredChunks = 0 then // case for newTotalCount = 0
        requiredChunks := 1;

    // Pre-allocate chunk array structure
    if requiredChunks > Length(FChunks) then
        SetLength(FChunks, requiredChunks);

    sourceIdx := 0;
    while sourceIdx < resolvedNumToAdd do
    begin
        ci := FCount div ChunkSize;
        di := FCount mod ChunkSize;

        // Allocate the actual chunk if we are at its beginning
        if di = 0 then
            SetLength(FChunks[ci], ChunkSize);

        spaceInChunk := ChunkSize - di;
        itemsToCopy := resolvedNumToAdd - sourceIdx;
        if spaceInChunk < itemsToCopy then
            itemsToCopy := spaceInChunk;

        // Move a block of data into the available space in the current chunk.
        System.Move(Data[sourceIdx], FChunks[ci][di], itemsToCopy * SizeOf(TDataPoint<T>));

        Inc(FCount, itemsToCopy);
        Inc(sourceIdx, itemsToCopy);

        // Remove old data that is now out of limits
        Trim;
    end;
end;

procedure TDataSeries<T>.Clear;
begin
    FChunks := nil;
    FCount := 0;
    FTotalCount := 0;
end;

class operator TDataSeries<T>.Finalize(var Dest: TDataSeries<T>);
begin
    Dest.Clear;
end;

function TDataSeries<T>.GetCount: Int64;
begin
    // The public Count must always reflect the addressable range.
    Result := FCount;
    if (FMaxLookback > 0) and (Result > FMaxLookback) then
        Result := FMaxLookback;
end;

function TDataSeries<T>.GetData(Idx: Int64): T;
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    Result := FChunks[physicalIndex div ChunkSize][physicalIndex mod ChunkSize].Data;
end;

function TDataSeries<T>.GetItems(Idx: Int64): TDataPoint<T>;
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    Result := FChunks[physicalIndex div ChunkSize][physicalIndex mod ChunkSize];
end;

function TDataSeries<T>.GetTime(Idx: Int64): TDateTime;
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    Result := FChunks[physicalIndex div ChunkSize][physicalIndex mod ChunkSize].Time;
end;

class operator TDataSeries<T>.Initialize(out Dest: TDataSeries<T>);
begin
    Dest.FCount := 0;
    Dest.FTotalCount := 0;
    Dest.FChunks := nil;
    Dest.FMaxLookback := 0;
end;

function TDataSeries<T>.IndexOf(TimeStamp: TDateTime): Int64;
var
    low, high, mid: Int64;
    dataPointTime: TDateTime;
begin
    Result := -1;
    if Count = 0 then // Use public Count to respect limits
        Exit;

    low := 0;
    high := Count - 1; // Use public Count to respect limits

    while (low <= high) do
    begin
        mid := low + (high - low) div 2;
        dataPointTime := GetTime(mid);

        if (dataPointTime = TimeStamp) then
        begin
            Result := mid;
            break;
        end
        else if (dataPointTime < TimeStamp) then
        begin
            Result := mid;
            high := mid - 1;
        end
        else // dataPointTime > TimeStamp
        begin
            low := mid + 1;
        end;
    end;
end;

function TDataSeries<T>.IsIndexInLimits(LogicalIndex: Int64): Boolean;
begin
    // Check Lookback limit
    Result := (FMaxLookback <= 0) or (LogicalIndex < FMaxLookback);
end;

function TDataSeries<T>.LogicalToPhysicalIndex(LogicalIndex: Int64): Int64;
begin
    Assert((LogicalIndex >= 0) and (LogicalIndex < Count), 'Logical index is out of bounds.');
    Result := FCount - LogicalIndex - 1;
end;

procedure TDataSeries<T>.SetData(Idx: Int64; const Value: T);
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    FChunks[physicalIndex div ChunkSize][physicalIndex mod ChunkSize].Data := Value;
end;

procedure TDataSeries<T>.Trim;
var
    itemsToRemove, chunksToRemove: Int64;
begin
    if (FCount = 0) or (FMaxLookback <= 0) then
        Exit;

    itemsToRemove := 0;
    if FCount > FMaxLookback then
    begin
        itemsToRemove := FCount - FMaxLookback;
    end;

    if itemsToRemove <= 0 then
        Exit;

    // We only free full chunks to avoid expensive partial copy operations.
    chunksToRemove := itemsToRemove div ChunkSize;

    if chunksToRemove > 0 then
    begin
        var itemsInFreedChunks := chunksToRemove * ChunkSize;
        FChunks := Copy(FChunks, chunksToRemove, Length(FChunks) - chunksToRemove);
        FCount := FCount - itemsInFreedChunks;
    end;
end;

end.